On absolute and relative performance and the demand for mutual funds—experimental evidence

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• 作者：Kliger ; Doron ; Levy ; Ori ; Sonsino ; Doron
• 关键词：C91 ; D81 ; G11 ; Absolute performance ; Relative performance ; Subjective conditional probability ; Subjective risk aversion
• 刊名：Journal of Economic Behavior and Organization
• 出版年：2003
• 期刊代码：36_01672681
• 类别：eco
• 出版时间：November, 2003
• 卷：52
• 期：3
• 页码：341-363
• 文件大小：160 K

摘要

Empirically, mutual fund flows depend on past performance. It is unclear, however, whether this is rational. Using experiments, we overcome measurement problems of real data. We detect two anomalies: (1) “absolute performance effect”—investors’ tendency to delegate money to a fund increases with performance, even when performance is uninformative; (2) “relative performance effect”—investors’ tendency to delegate money decreases with other funds’ performance, even when their performance is attributed to luck per se. We suggest two descriptive alternatives to expected utility: (1) “subjective conditional probability”—subjective probabilities deviate from Bayesian posteriors; (2) “subjective risk aversion”—a history-dependent utility function.